Bank of the West Sr Quantitative Analyst in San Ramon, California
Sr Quantitative Analyst
At Bank of the West, our people are having a positive impact on the world. We’re investing where we feel we can make the most impact, like advancing diversity and women entrepreneurship programs, financing for more small businesses, and promoting programs for sustainable energy. From our locations across the U.S., Bank of the West is taking action to help protect the planet, improve people’s lives, and strengthen communities. We are part of BNP Paribas, a global leader supporting the UN Sustainable Development Goals (SDGs). Yes, we’re a bank, but as the bank for a changing world, we are continually seeking to improve the ways we help our customers, while contributing to more sustainable and equitable growth.
Job Description Summary
Responsible for ensuring that the method employed for risk measurement and management is financially sound. Will be responsible for assessing new modeling methodologies for implementation in the risk management practice and provide opinion on modeling and risk management of banking and derivative products. Actively involved in researching and modeling non-maturity deposit behavior.
Essential Job Functions
Responsible for understanding the balance sheet results of Net Interest Income simulation and Economic Valuation driven by stochastic modeling process. Oversee the interest rate risk modeling.
Understand interest rate risk analysis focusing on Monte Carlo term structure modeling, value at risk, economic value sensitivities, net interest income forecasting, prepayment modeling, non-maturity deposit modeling, and creating hedge strategies.
Involved in all aspects of interest rate risk measurement, model evaluations, strategy, and design.
Conduct economic value analysis on a variety of complex financial instruments quantifying and analyzing balance sheet risks.
Create economic model for non-maturing deposits simulating customer deposit balance behavior in various interest rate environments.
Analyze CMO/MBS cash flow and prepayment forecasts.
Evaluate and analyze results from stochastic term structure model using a variety of one and two factor rate models and differing volatility assumptions.
Interpret and create variance/covariance and correlation matrixes, perform yield curve PCA analysis.
Other Job Duties
Assist in preparing ALCO monthly production reports.
Maintain documentation as required.
Performs other duties as assigned
Requires deep knowledge of job area typically obtained through advanced education combined with experience.
Typically viewed as a specialist within discipline.
May have broad knowledge of project management.
Requires 7 years minimum prior relevant experience.
- Bachelor's Degree Math, Statistics, Finance or Economics
Field of Experience – Job-specific knowledge requirements.
Knowledge of QRM, AFT, Intex a plus.
Quantitative methods and tools supporting financial modeling.
Must have excellent quantitative modeling skills. Administrative/Technical Skills.
– Job-specific skill requirements.
Possess strong written and verbal communication skills.
Demonstrated knowledge of financial modeling.
Must be able to work independently and proactively and take initiative in solving problems quickly.
Knowledge of Microsoft Office (Excel, Word and PowerPoint).
Equal Employment Opportunity Policy
Bank of the West is an Equal Opportunity employer and proud to provide equal employment opportunity to all job seekers without regard to any status protected by applicable law. Bank of the West is also an Affirmative Action employer - Minority / Female / Disabled / Veteran.
Bank of the West will consider for employment qualified applicants with criminal histories pursuant to the San Francisco Fair Chance Ordinance subject to the requirements of all state and federal laws and regulations.
Job: Accounting Finance
Location: United States-Nebraska-Omaha
Other Locations: United States-California-San Ramon, United States-Colorado-Denver, United States-Arizona-Tempe, United States-California-Los Angeles, United States-California-San Francisco
Requisition ID: 056461